Equity Implied Volatility Surface

A quantitative finance repository focused on extracting market-implied information from listed equity options.

This repo contains two separate projects:

1. De-Americanization for Implied Dividends
   Recover discrete cash dividends from American-style options.

2. Equity Implied Forward & Volatility Surface
   Build the implied forward curve, dividend yield curve, and volatility surface from European-style options.

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Repository Structure

Equity-Implied-Volatility-Surface/
├── De-Americanization Algorithm.ipynb
├── Equity Implied Forward & Volatility Surface.ipynb
└── MarketData/
    ├── CAC40_MarketOptions_12022025.csv
    └── EURIBOR6M_ZCRates_12022025.csv

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Project 1 — De-Americanization for Implied Dividends

This notebook focuses on American-style equity options.

Because American options can be exercised early, their prices cannot be used directly with standard European parity relationships. To handle this, the notebook:

• models option prices with a binomial tree
• estimates the early-exercise premium
• converts American prices into European-equivalent prices
• extracts implied forwards and dividend information
• bootstraps discrete cash dividends

Best use case

Use this notebook when working with American options and trying to recover implied cash dividends from market prices.

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Project 2 — Equity Implied Forward & Volatility Surface

This notebook focuses on European-style equity options.

Its goal is to extract market-implied information and construct:

• an implied forward curve
• an implied dividend yield curve
• an implied volatility surface

The workflow includes:

• forward extraction from market option prices
• dividend yield inference across expiries
• implied volatility calibration
• interpolation across strikes and maturities
• surface visualization

Market Data

The MarketData/ folder includes:

• CAC40_MarketOptions_12022025.csv — option market quotes
• EURIBOR6M_ZCRates_12022025.csv — zero-coupon rates for discounting

Users can replace the sample input files with their own market data, provided that the CSV files keep the same structure as the ones included in MarketData/.
To run the notebook correctly, the current column layout and overall file format must be respected.

Example Output

CAC40 Dividend Yield Structure:

CAC40 Implied Volatility Surface:

Best use case

Use this notebook when working with European options and building a forward-consistent volatility surface.

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How to Use

Clone the repository:

git clone https://github.com/Idriss-Afra/Equity-Implied-Volatility-Surface.git
cd Equity-Implied-Volatility-Surface
jupyter notebook

Then open:

• De-Americanization Algorithm.ipynb
• Equity Implied Forward & Volatility Surface.ipynb

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Author

Idriss Afra